On weak solutions of forward-backward SDEs

DOI10.1007/s00440-010-0305-8zbMath1235.60067MaRDI QIDQ662818

Jianfeng Zhang, Jin Ma

Publication date: 13 February 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-010-0305-8

zbMATH Keywords

weak solution; viscosity solutions; forward-backward stochastic differential equations; forward-backward martingale problems

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

Related Items

Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions, Forward-backward stochastic differential equations: initiation, development and beyond, Maximum principle for stochastic control of SDEs with measurable drifts, Forward backward SDEs in weak formulation, Strong solutions of forward-backward stochastic differential equations with measurable coefficients, A class of quadratic forward-backward stochastic differential equations, Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem

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